Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0271
Annualized Std Dev 0.1724
Annualized Sharpe (Rf=0%) -0.1574

Row

Daily Return Statistics

Close
Observations 4464.0000
NAs 1.0000
Minimum -0.1647
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0038
Maximum 0.2431
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0109
Skewness 0.6682
Kurtosis 89.2345

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0088
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0126
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.6126
Historical VaR (95%) -0.0123
Historical ES (95%) -0.0251
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2003-06-30 2020-03-18 NA -0.6126 4463 4209 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA 0 0 0.8 1.1 -0.4 0 0.2 1.7
2004 -0.2 -0.2 0.4 0.8 0.2 0.1 0.7 -0.3 -0.1 0.4 1 0 2.7
2005 -0.1 0.3 0.8 -0.1 -0.2 -0.3 0 0.6 0.2 0.1 -0.3 -0.2 0.8
2006 -0.1 0.3 -0.5 0.2 0.3 0.8 -0.1 0.1 -0.2 0.3 0.3 0.4 1.8
2007 0.5 -0.2 0.5 -0.1 0 0.4 -1.7 1.4 0.1 0 1.3 1.8 4
2008 0.1 0.1 0.8 0.2 -0.1 -1.1 -0.3 0.2 -0.4 3.3 -4.5 2.8 0.9
2009 0 -0.5 -0.5 0.6 1.5 -0.3 1.5 -0.1 -1 -1.7 1.5 0.7 1.7
2010 1.1 0.7 0.3 0.1 0.1 -0.4 -0.4 0.7 0.6 0.3 -1.2 1.8 3.7
2011 1.1 0.2 0 0.3 -0.1 0.1 0.9 0.3 -1.9 -1.1 0 0.3 0
2012 0.7 0.3 -0.6 0.5 -0.7 0.4 0.6 0.6 1.2 0.9 0.1 0.7 4.7
2013 0.6 0.5 -0.5 0.2 -1.5 0.3 -1 0.7 0.8 -0.3 0.6 0.1 0.4
2014 0.1 0.4 0.1 0.1 0.1 -0.1 0.3 0.3 0.2 0.6 -0.3 -0.5 1.5
2015 0 0.4 0.8 0.3 -0.2 1.3 0.5 0.7 0.1 0.5 0.5 -0.1 5
2016 1 1 -0.1 1 0.5 -0.1 -1.3 -0.3 0.5 0 -0.2 0 1.9
2017 -0.2 -0.1 0.4 -0.4 0.1 -0.5 -0.2 0.7 0.2 0 0.9 0.5 1.3
2018 0.9 -0.1 0.6 0.4 -0.2 -0.2 0 -0.3 0.2 0.3 0.2 1 2.9
2019 0.9 0.3 0.8 0.3 -0.7 1.2 0.2 -0.2 0.4 -0.5 -0.2 0.6 3.1
2020 -0.2 -2.2 -4.7 -0.4 1.5 0.2 -0.7 2.1 1.1 0.2 1.2 0.8 -1.1
2021 1.1 0.7 0.4 NA NA NA NA NA NA NA NA NA 2.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart